Factor model


Also found in: Encyclopedia.

Factor model

A way of decomposing the forces that influence a security's rate of return into common and firm-specific influences.

Factor Model

A mathematical calculation of the extent to which macroeconomic factors affect the securities in a portfolio. Factor models attempt to account for contingencies like changes in interest rates or inflation. Factor models fall into three main categories. A statistical factor model attempts to explain risks particular to an investment. A fundamental factor model looks at risks to an industry or market that may affect a portfolio. Finally, a macroeconomic factor model considers relevant risks to the wider economy. See also: Risk analysis.
References in periodicals archive ?
The first two models were included to aid in the assessment of the correlated two- factor model.
Table 4 Factor Loading Patterns--Single Factor Solutions for Composite Models Factor Model 1 Factor Model 2 All, but Mental Care Measure All Categories Health II Percent Child Immunization 86 85 Adolescent Immunization 78 78 Women's Health 85 83 Coronary Care 80 81 Diabetes Care 82 83 Mental Health I 66 61 Mental Health II 33 -- Asthma Care 21 24 Proportion of Variance Explained 100 100 Alpha Statistic 0.
Specifically, a single factor model was compared to a bi-factor model (Gibbons & Hedeker, 1992), trying to understand if the format-specific factors explained any additional item variance.
2005) find that using the generalized factor model of Forni et al.
The first model tested was the single factor model, which has been used in the majority of published studies to date (see Schutte et al.
The small sample size also made it impossible to test a second-order factor model.
Tab1e 1 Comparison of alternative factor models Model df [chi square] RMSEA Four-factor model 99 176.
Recently, Five Factor Model (FFM) traits have also been studied in the stress process (Conard & Matthews, 2008; Grant & Langan-Fox, 2007; Miller, Griffin, & Hart, 1999).
2011) factors in pricing asset returns, I include the GDP factor (MPR) as an additional risk factor in the linear factor model.
The standard form factor model offers P-iris lenses and remote focus.
com) has produced and tested its first Emerging Markets version of the Haugen Expected Return Factor Model covering Central Asia, which includes China, India and Taiwan.